Integration of the Indian Stock Market:at the angle of Time-Frequency

Aasif Shah () and Malabika Deo ()
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Aasif Shah: Pondicherry University, Postal: Pondicherry University, R.V.Nagar, Kalapet, 605014 Puducherry, India
Malabika Deo: Pondicherry University, Postal: Pondicherry University, R.V.Nagar, Kalapet, 605014 Puducherry, India

Journal of Economic Integration, 2016, vol. 31, issue 1, 183-205

Abstract: This paper uses wavelet correlation and cross correlation techniques to examine the integration between Indian and Asia Pacific equity markets. In the sense that both time and frequency domains can be taken into consideration, wavelets have been emerged as a perfect trade-off. Our results show that the Indian market is correlated with Asia Pacific markets largely on lower frequencies or longer time horizons implying that diversification opportunities for investors are more likely to exist at higher frequencies or shorter time horizons. The cross correlation result also reveals lead-lag relationship on lower frequencies which suggests investment strategies for investors operating in Indian market facing sudden changes in Asia Pacific markets.

Keywords: sia Pacific; Wavelet Correlation; Wavelet Cross Correlation (search for similar items in EconPapers)
JEL-codes: F36 G11 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0683

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